BARLI wrote:0.1% drawdown and 100% winning months. 32.72 MAR?
Search found 19 matches
- Sat Oct 15, 2005 3:38 pm
- Forum: Testing Software
- Topic: STARTING FROM SCRATCH IN BACKTESTING
- Replies: 14
- Views: 13059
- Sun Apr 24, 2005 12:48 am
- Forum: Testing and Simulation
- Topic: Synthetic Contracts
- Replies: 15
- Views: 15062
Re: Synthetic Contracts
Most markets haven’t traded long enough to provide enough trades that a developer can use as a statistical basis for evaluating the robustness of a trading approach. Just as important, as the market data gets older it stops being representative of current conditions. What is your basis for these ...
- Sun Apr 24, 2005 12:43 am
- Forum: Testing and Simulation
- Topic: Synthetic Contracts
- Replies: 15
- Views: 15062
In thinking about the points he makes about the data being market like, I wonder how complicated his idea will be to implement. The book will give you some ideas to explore and point you in the direction that Mandelbrot wishes to persuade others to pursue: multi-fractal modelling. I do not have the...
- Sat Apr 23, 2005 5:13 pm
- Forum: Testing and Simulation
- Topic: Synthetic Contracts
- Replies: 15
- Views: 15062
- Sat Apr 23, 2005 5:06 pm
- Forum: Testing and Simulation
- Topic: Synthetic Contracts
- Replies: 15
- Views: 15062
The link to amazon is here: hardcover I read the book some months back. Here is my broad understanding of the main theses of the book as my notes show from then: 1. A plot of frequency of price changes shows too many points at the ends, and not enough in the middle. Such fat tails follow a power law...
- Sat Apr 23, 2005 12:24 pm
- Forum: Testing and Simulation
- Topic: Synthetic Contracts
- Replies: 15
- Views: 15062
Re: Synthetic Contracts
You may benefit from reading Benoit Mandelbrot's book "On (Mis)behaviour of Markets". He talks about his two-step generation of synthetic data, and tries to precisely define the term "market-like".
- Mon Jul 05, 2004 12:27 am
- Forum: Testing and Simulation
- Topic: Further thoughts on Backtesting
- Replies: 19
- Views: 17071
- Sat Jun 19, 2004 4:10 pm
- Forum: Money Management
- Topic: Martingale or Anti-Martingale
- Replies: 9
- Views: 10641
- Sat Jun 19, 2004 3:55 pm
- Forum: Money Management
- Topic: Long/Short market neutral exits
- Replies: 15
- Views: 13963
Actually, Martingale will always win when you have unlimited margin and infinite liquidity. :twisted: Yes but win how much? As the losing streak gets longer, more and more money is chasing less and less profit. But if you have infinite money then presumably the rate of return is not really a bother...
- Sat Jun 19, 2004 2:29 pm
- Forum: Money Management
- Topic: Martingale or Anti-Martingale
- Replies: 9
- Views: 10641
Thanks Ted for the response. The resources get filed away into my ever-increasing ToRead list. ;) I am sorry my post was poorly worded but I understand the issue well enough to be able to discriminate between the two. Essentially doubling when down, means that increasing amounts of capital are chasi...
- Sat Jun 19, 2004 6:46 am
- Forum: Money Management
- Topic: Martingale or Anti-Martingale
- Replies: 9
- Views: 10641
Martingale or Anti-Martingale
I have seen claims, I forget where, that the popular bet size variation methods that we like to call anti-Martingale (reduce size on loss, increase on win) are really Martingale methods in disguise.
Can someone explain this or provide a pointer to another resource describing this?
--si
Can someone explain this or provide a pointer to another resource describing this?
--si
- Sat Jun 19, 2004 6:37 am
- Forum: Money Management
- Topic: Long/Short market neutral exits
- Replies: 15
- Views: 13963
- Fri Jun 11, 2004 2:44 am
- Forum: Custom C++ or Java Platforms
- Topic: Advice for gaining ATS experience through real trading
- Replies: 5
- Views: 11330
blackjack!
My very serious suggestion: If you really want to improve your abilities to trade when you have sufficient capital in the future, learn to play blackjack by counting cards. Leonardo, this is a fantastic suggestion! I remember doing precisely this some years back, to evaluate personal emotional resp...
- Fri Jun 11, 2004 2:08 am
- Forum: Custom C++ or Java Platforms
- Topic: Advice for gaining ATS experience through real trading
- Replies: 5
- Views: 11330
Just paper trade.
My purpose here is not to make money or even hope to keep my stack at the same level (I guess that even if things go smoothly I will lose half of my stack in a few weeks). :roll: Your request is confusing. If I understand right, you want to discover and debug your software errors by trading with re...
- Fri Jun 04, 2004 6:36 am
- Forum: Trend Indicators and Signals
- Topic: stalking the first big trend when starting out
- Replies: 11
- Views: 15789
I do believe that one could get a start the same way again. Leonardo, your detailed post is very informative. The key, when you are trading small, is to pick a trend and ride it, pyramiding all the way with eyes open. As you say you bounced about in silver, beans, wheat before settling on cotton. S...
- Fri Jun 04, 2004 6:22 am
- Forum: Stocks
- Topic: Market Volatility
- Replies: 7
- Views: 10108
- Wed Jun 02, 2004 11:31 pm
- Forum: Stocks
- Topic: Why don't these guys trade stocks?
- Replies: 11
- Views: 16187
keep % risk small, if you can use a big account you can risk 1/2 % or even a 1/10 of a percent on each entry (you want to be able to cast a wide net, buy everything thats moving up, then start to hone in on the real winners I think this is key, given the high margin setup and too many choices. Othe...
- Wed Jun 02, 2004 10:46 pm
- Forum: Stocks
- Topic: Market Volatility
- Replies: 7
- Views: 10108
The level of the index does NOT imply the level of volatility. 10% volatility is 10% volatility, no matter what the level is. The markets can fluctuate 10% if the Dow is at 10,000, just as it can when it was at 1,000. I think Enigma's question is : To have the same level of fluctuation, a one tick ...